5872数理金融中等数值题short
Realized Vol From A Six-Day Path
题目
Over six days the daily returns were [0.010, -0.015, 0.022, -0.006, 0.013, -0.009]. Using realized vol = sqrt(252 × average(r^2)), what annualized realized volatility results (four decimals), and was it above or below a quoted 20% implied?
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你的答案
realized_vol
above_implied